A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289): Difference between revisions

@@ Property / DOI @@
-.1016/j.chaos.2016.02.019
@@ Property / DOI: 10.1016/j.chaos.2016.02.019 / rank @@
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@@ Property / author @@
-Q508287
@@ Property / author: Q508287 / rank @@
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@@ Property / author @@
+Juan C. Arismendi
@@ Property / author: Juan C. Arismendi / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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@@ Property / zbMATH DE Number @@
+6683380
@@ Property / zbMATH DE Number: 6683380 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multi-asset option pricing
@@ Property / zbMATH Keywords: multi-asset option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate risk management
@@ Property / zbMATH Keywords: multivariate risk management / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Edgeworth expansion
@@ Property / zbMATH Keywords: Edgeworth expansion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+higher-order moments
@@ Property / zbMATH Keywords: higher-order moments / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3122819542
@@ Property / OpenAlex ID: W3122819542 / rank @@
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@@ Property / cites work @@
+Closed Form Approximations for Spread Options
@@ Property / cites work: Closed Form Approximations for Spread Options / rank @@
+Normal rank
@@ Property / cites work @@
+ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A theory of non‐Gaussian option pricing
@@ Property / cites work: A theory of non‐Gaussian option pricing / rank @@
+Normal rank
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+Gram–Charlier densities: a multivariate approach
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+On non-Gaussianity and dependence in financial time series: a nonextensive approach
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+The log-normal approximation in financial and other computations
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+Density approximations for multivariate affine jump-diffusion processes
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+Smoothed Functional Algorithms for Stochastic Optimization Using             <i>q</i>             -Gaussian Distributions
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@@ Property / cites work @@
+Multi-asset spread option pricing and hedging
@@ Property / cites work: Multi-asset spread option pricing and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996154
@@ Property / cites work: Q3996154 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Generalized Gram-Charlier series with application to the sum of log-normal variates (Corresp.)
+Normal rank
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+Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
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+Moment swaps
@@ Property / cites work: Moment swaps / rank @@
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@@ Property / cites work @@
+On Multivariate Edgeworth Expansions
@@ Property / cites work: On Multivariate Edgeworth Expansions / rank @@
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+Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
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+Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
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+Central limit theorem and deformed exponentials
@@ Property / cites work: Central limit theorem and deformed exponentials / rank @@
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@@ Property / DOI @@
+.1016/J.CHAOS.2016.02.019
@@ Property / DOI: 10.1016/J.CHAOS.2016.02.019 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:508289